Indirect Estimation of Elliptical Stable Distributions
CORE Discussion Paper No. 2007/18
28 Pages Posted: 16 Aug 2007
Date Written: February 2007
Abstract
We present an indirect estimation approach for elliptical stable istributions which relies on the use of a multivariate t distribution as auxiliary model. This distribution is also elliptical and we show that its parameters have a one-to-one relationship with those of the elliptical stable, therefore making the proposed indirect approach especially suitable. Standard asymptotic properties are also shown and we analyze the finite sample behavior of the estimators via a comprehensive Monte Carlo study. An application to 27 emerging markets stock indexes concludes the paper.
Keywords: Stable, elliptical, high dimension, multivariate, Indirect Inference
JEL Classification: C13, C15, G11
Suggested Citation: Suggested Citation
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